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~person:"Al-Yahyaee, Khamis Hamed"
~person:"Fuertes, Ana María"
~person:"Gerlach, Richard"
~person:"Lazar, Emese"
~subject:"Prognoseverfahren"
~subject:"Risikomanagement"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk measure"
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Prognoseverfahren
Risikomanagement
Risikomaß
31
Risk measure
31
Forecasting model
17
Theorie
14
Theory
14
Volatility
13
Volatilität
13
ARCH model
10
ARCH-Modell
10
Statistical distribution
10
Statistische Verteilung
10
Value-at-Risk
10
Portfolio selection
9
Portfolio-Management
9
Time series analysis
9
Zeitreihenanalyse
9
Estimation
8
Markov chain
8
Markov-Kette
8
Risk management
8
Schätzung
8
Bayes-Statistik
7
Bayesian inference
7
Capital income
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Kapitaleinkommen
7
Monte Carlo simulation
7
Monte-Carlo-Simulation
7
Expected shortfall
6
Börsenkurs
4
Measurement
4
Messung
4
Multivariate Verteilung
4
Multivariate distribution
4
Oil price
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24
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Article in journal
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24
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1
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1
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English
24
Author
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Al-Yahyaee, Khamis Hamed
Fuertes, Ana María
Gerlach, Richard
Lazar, Emese
Wang, Ruodu
17
Embrechts, Paul
11
Righi, Marcelo Brutti
11
Mao, Tiantian
10
McAleer, Michael
10
Hammoudeh, Shawkat
9
Cai, Jun
8
Gupta, Rangan
8
Puccetti, Giovanni
8
Weiß, Gregor
8
Chen, Cathy W. S.
7
Degiannakis, Stavros
7
Janabi, Mazin A. M. al
7
Karmakar, Madhusudan
7
Li, Jianping
7
Mensi, Walid
7
Müller, Fernanda Maria
7
Rüschendorf, Ludger
7
Stoja, Evarist
7
Taylor, James W.
7
Balbás de la Corte, Alejandro
6
Boonen, Tim J.
6
Chlebus, Marcin
6
Guillén, Montserrat
6
Herrera, Rodrigo
6
Kumar, Dilip
6
Mora-Valencia, Andrés
6
Polanski, Arnold
6
Tan, Ken Seng
6
Tiwari, Aviral Kumar
6
Wang, Chao
6
Bee, Marco
5
Berger, Theo
5
Bernard, Carole
5
Bernardi, Mauro
5
Brandtner, Mario
5
Chaudhry, Sajid M.
5
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International journal of forecasting
5
Journal of forecasting
3
The North American journal of economics and finance : a journal of financial economics studies
3
International review of financial analysis
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Quantitative finance
2
Applied economics
1
Economic modelling
1
Emerging markets review
1
European journal of operational research : EJOR
1
Journal of banking & finance
1
Journal of commodity markets : JCM
1
Journal of financial econometrics
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ECONIS (ZBW)
24
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1
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
2
VaR and ES forecasting via recurrent neural network-based stateful models
Qiu, Zhiguo
;
Lazar, Emese
;
Nakata, Keiichi
- In:
International review of financial analysis
92
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014492387
Saved in:
3
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels
Lazar, Emese
;
Pan, Jingqi
;
Wang, Shixuan
- In:
Journal of commodity markets : JCM
34
(
2024
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014548240
Saved in:
4
Loss function-based change point detection in risk measures
Lazar, Emese
;
Wang, Shixuan
;
Xue, Xiaohan
- In:
European journal of operational research : EJOR
310
(
2023
)
1
,
pp. 415-431
Persistent link: https://www.econbiz.de/10014340186
Saved in:
5
Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting
Gerlach, Richard
;
Wang, Chao
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 105-138
Persistent link: https://www.econbiz.de/10012878188
Saved in:
6
Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio
;
Gerlach, Richard
;
Storti, Giuseppe
- In:
Economic modelling
107
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
Saved in:
7
Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Mensi, Walid
;
Al-Yahyaee, Khamis Hamed
;
Al-Jarrah, …
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012665455
Saved in:
8
Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures
Gerlach, Richard
;
Wang, Chao
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 489-506
Persistent link: https://www.econbiz.de/10012415185
Saved in:
9
Forecasting risk measures using intraday data in a generalized autoregressive score framework
Lazar, Emese
;
Xue, Xiaohan
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 1057-1072
Persistent link: https://www.econbiz.de/10012497719
Saved in:
10
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Gerlach, Richard
;
Naimoli, Antonio
;
Storti, Giuseppe
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1849-1878
Persistent link: https://www.econbiz.de/10012295647
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